On the Relationship between COVID-19 and G7 Banking Co-Movements
7 Pages Posted: 18 Mar 2021
Date Written: March 15, 2021
We address G7 banking contagion during the COVID-19 crisis using wavelet-based techniques. We find an increase (20%) of the lowest frequencies banking contagion during the pandemic period based on stronger coherence between all pairs of financial indices. We also find that COVID-19 world cases and deaths are relevant to understand banking cycles co-movements, mainly from February to June. Our findings are confirmed by a correlation contagion test and still hold after controlling for oil prices.
Keywords: Banking contagion, COVID-19, Time-frequency domains
JEL Classification: G01, G15, F44, C6
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